Penrith Group Services

8/9/2019 Penrith Group Services

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PENRITH GROUPFinancial Advisory Services

and

CEO Luncheon DiscussionNet Worth ~ Loss Reserves ~ Compliance

June 23, 2010

6/28/2010 1Penrith Confidential

present


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Current Context

Regulatory Compliance (meet NCUA requirements); FAS 5 & FAS 114

Net worth & CapitalizationRequirements

Portfolio Rebalancing for Risk-Based Net Worth requirements;

achieving required capitalization classification; resumption and

growth in lending activities

Objectives Benefits

6/28/2010 Penrith Confidential 2

Portfolio Valuation

Advisory Services

comp ance; an ar za on o prac ces

Determine portfolio and loan-level pricing based on Industry standard

practices

Participation in Board, Audit and Regulatory reviews; financial

engineering services


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Penrith Group

Financial AdvisoryFirm Specializing in

Risk Assessment andValuation of

Commercial,Residential &

About Us Focus Areas

Allowance for Loan and Lease Losses(ALLL); Compliance to FAS5 and

FAS114Risk Assessment

Portfolio StrategyTime based Analysis; Stress Testing;

Portfolio Benchmarking


Consumer Debt

Clients comprising of

Banks, Credit Unions,Private Equity Firmsand Other Financial

Institutions

Portfolio Valuation

Net Worth &Capitalization Analysis

Hedging Strategies

Transaction & DealAdvisory

Time and Scenario based Analysis;Portfolio Stress Testing

Risk Based Net Worth Analysis;Portfolio Rebalancing

Hedging Strategies to manageexposure to fixed or floating rate

assets & liabilities

Deal Structure Analysis, Cash-flowwaterfalls, Calculation of IRR


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Recent Engagements

Credit Union

Las Vegas

Private Equity Firm

New York

Federal Credit Union

Los Angeles


Risk Assessment of $440

mm Residential plus $300

mm Auto and Consumer

Loan Portfolio

Jun 2010

Deal Advisory for bid on

$1.3 bn Residential Loan

portfolio

Aug 2009

Risk Assessment of $500

mm Commercial,

Residential & Consumer

Loan portfolio

Sept 2009 - Present


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Net worth & Capitalization Analysis

Net worth Ratio (Net Worthto Assets)

Net worth Ratio & Risk BasedNet worth (RBNW)

Well Capitalized or Adequately Capitalized Credit Unions are

subject to fulfilment of both requirements

7% or more is considered well capitalized ; 6-6.99% isconsidered adequately capitalized


RBNW Calculation

RBNW (8 types of Risk BasedAsset Classification)

Long Term Real Estate Loans, MBL outstanding, Investments,

Loans with recourse, Low Risk Assets, Average Risk Assets,

Unused MBL commitments and Allowances

Weighted average of the corresponding risk based Net Worth

requirement of the individual components


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Net worth Analysis Process

Asset Segmentation

based on Risk

Classification

RBNW based

Stratification

(e.g., Maturity)

RBNW Calculation &

Comparison based on

Standard Component

and AlternativeComponent Methods


Look at Weighted Avg.impact of

assets/segments on

RBNW

Portfolio Rebalancingstrategies for achieving

required capitalization

classification


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Risk Assessment (1 of 2)

Portfolio

Composition

Analysis

Forward Looking

Analysis of Credit

Risk & Interest

Rates

Cash Flow Analysis

(Loan Level)


Statistical Analysis

ALLL

Recommendations

(FAS5 and FAS114

Compliance)


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Risk Assessment (2 of 2)

Consumer Loans (Auto,

Credit Card, HELOC and

Unsecured)

Type of Loans Treatment

FAS 5 treatment: Aggregate loans and

use historical statistics & other

composite measures for evaluatingimpairment


Commercial andResidential Mortgages

FAS 114 treatment: Measure

impairment based on present value ofexpected future cash-flows discounted

at effective interest rate


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Portfolio Strategy

Time based Analysis &Stress Testing

Portfolio Benchmarking& Risk vs. Return

Portfolio Strategy

0.20

0.40

0.60

LS

Base Case

Market Snapshot

National Trends


Time basedAnalysis

PortfolioBenchmarking

Stress Testing

Risk vs. Return

Analysis

Penrith

0.00

0.00 0.10 0.20 0.30 0.40

DR

0.00

0.20

0.40

0.60

0.00 0.10 0.20 0.30 0.40

LS

DR

Recession

PortfolioSegmentation

Delinquency Trends

Ranking based onComp Set, MSA andregion

Growth & LiquidationStrategies


10/16

Portfolio Valuation

Portfolio AnalysisStochastic Analysis of

Credit Risk Vectors

0

50

100

150

200

250

300

350

400

20-40 40-50 50-60 60-80 80-100 100-110

Price(%o

fCB)

Price Distribution


Cash Flow Analysis

(Loan Level)

Statistical Analysis

(based on standard

normal distribution)

OAS Pricing at

multiple spreads to

benchmark yield

(e.g., 400, 800, 1200

bps)

400 bps 600 bps 800 bps 1000 bps


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Hedging Strategies

2.00%

2.50%

3.00%

3.50%

4.00%

4.50%

5.00%

Treasury 5-Year

Hedge Size

Basis Risk

WAL and Duration

Hedging Parameters

Notional Amount / Optimal

Hedge Ratio

Frequency of Payment Stream

Matching Hedge Instrument

with Asset or Liability


1.00%

.

1 6 11 16 21 26 31 36

Flat Falling Double Dip Moodys

Amortization

Hedge Term

Hedge

Static vs. Rollover Positions

Interest Rate Derivatives

Swaps

Futures

Can be customized; minimal basis risk; subject to counterparty credit risk;can result in negative net cash-flows

Exchange Traded; Established settlement process; virtually no counterpartycredit risk; High basis risk; Variability in Optimal Hedge Ratio; can result in

negative net cash-flows


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Transaction & Deal Advisory

Deal Evaluation

Term-Sheet AnalysisSenior-Subordination, Leverage, Embedded Call

Options

Credit, Capacity, Collateral Risk Analysis and DealPricing


Returns Analysis

Cash-Flow WaterfallCash Flow Priority, Performance Triggers, StepDowns & Step Ups, Principal & Interest Payoffs

B/E Analysis and IRR at different economicscenarios


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Proven Track Record

Extensive MortgageBackground

Cross-Functional Expertise

Expertise spanning Origination, Servicing (SpecialServicing), REO Property Preservation and Secondary

Marketing

File Reviews & Due Diligence; Financial Modeling;Statistical Analysis; Risk Management; Data

Management Systems


Strong Partnerships

Impeccable Credentials

Diverse Asset Expertise

Partnerships with Standard & Poors, PPR Compassand TREPP for highly discounted pricing to Penriths

Credit Union clients

In the Mortgage Banking Industry for more than 15

years with solid reputation and long-lasting clientele

Experience in handling Multiple Asset Types(Commercial, Residential 1st TD and 2nd TD,

Consumer Auto, Credit Card, Unsecured and HELOC)


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Leadership Team (1 of 2)

Mr. Meiswinkel is the President of Penrith Group. Prior to joining Penrith, Mr.

Meiswinkel founded Lucre International Corporation, a national due diligence and

software development firm. Mr. Meiswinkel successfully managed the sale of Lucres

due diligence platform, an acquisition by Clayton Holdings.

Prior to founding Lucre, Mr. Meiswinkel co-founded The Bohan Group and acted as

President and COO 1995-2004 where he managed all aspects of nation wide

operations in San Francisco, New York, and Irvine. He oversaw more than 2,500transactions between originators and investment banks totaling over 5 million loans

Carl MeiswinkelPresident


an manage more an na ona au eams wee y.

Mr. Narayanan is co-head of the Portfolio Management Team and specializes in

valuation and risk management of mortgage assets. Prior to joining Penrith, Mr.

Narayanan was co-founder and managing partner of 14e Capital Advisors.

Previously, Mr. Narayanan was a Capital Markets consultant at a top Mortgage

Company and a JSDA licensed trader at Lehman Brothers in Japan. Mr. Narayanan is

also a regular speaker at national mortgage conferences.

Mr. Narayanan has an MBA from Indian Institute of Management and UCLA,

Anderson School of Management.

Anand NarayananVP, Risk Management


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Leadership Team (2 of 2)

Sanjay RaghavanVP, Portfolio Strategy

Mr. Raghavan is co-head of Penriths Portfolio Management and specializes in

portfolio strategy and risk assessment of mortgage assets. Prior to joining Penrith,

Mr. Raghavan was co-founder and managing partner of 14e Capital Advisors.

Previously, Mr. Raghavan was a consultant at a top Mortgage Company and an

analyst at Kothari Pioneer Asset Management Company. Mr. Raghavan is also a

regular speaker at national mortgage conferences.

Mr. Ra havan holds a MBA from The Wharton School, Universit of Penns lvania



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Contact Us

Carl Meiswinkel

[email protected]

Office: (949) 347-7700

Mobile: (949) 933-9803

Kara Harrington

Managing [email protected]

Office: (336) 510-9901

Mobile: (336) 324-7173


nan arayanan

VP, Risk [email protected]

Office: (949) 347-7700

Mobile: (714) 658-6053

an ay ag avan

VP, Portfolio [email protected]

Office: (949) 347-7700

Mobile: (714) 922-0230

28202 Cabot Road, Suite 225

Laguna Niguel, CA 92677

T 949.347.7700 F 949.347.7701

www.penrithgroup.com

7 Corporate Center, Suite B

Greensboro, NC 27408

T 336.510.9901 F 336.510.1405


10 G Street NE, Suite 710

Washington, DC 20002

T 202.248.5012 F 202.558.5210


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